PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS

Volume: 2 Number: 4 January 15, 2016
Journal of Economics Finance and Accounting Cover
Journal of Economics Finance and Accounting
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PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS

Abstract

In this study, the performances of 10 groups of A and B Type mutual funds and the performance of the Pension (total) fund are evaluated at daily and monthly frequencies. Different from many studies aiming to evaluate fund performance, this study takes into account the expense ratios in calculating the net returns of fund groups. Whether the fund groups provide return that is proportional to risk is tested by using Capital Asset Pricing Model (CAPM) and the Fama – French three factor model. Jensen Alpha which is a risk-adjusted performance measure is obtained from the aforementioned asset pricing models and is used to test whether fund groups provide abnormal return. Consequently, contrary to the expectations, a great majority of funds evaluated under the control of expenses do not exhibit high performance

Details

Primary Language

English

Subjects

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Journal Section

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Authors

Publication Date

January 15, 2016

Submission Date

January 15, 2016

Acceptance Date

-

Published in Issue

Year 2015 Volume: 2 Number: 4

IZ

https://izlik.org/JA37GW99HD

Cite

RIS / Bibtex
APA
Goren, S., & Umutlu, M. (2016). PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS. Journal of Economics Finance and Accounting, 2(4). https://izlik.org/JA37GW99HD
AMA
1.Goren S, Umutlu M. PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS. JEFA. 2016;2(4). https://izlik.org/JA37GW99HD
Chicago
Goren, Seher, and Mehmet Umutlu. 2016. “PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS”. Journal of Economics Finance and Accounting 2 (4). https://izlik.org/JA37GW99HD.
EndNote
Goren S, Umutlu M (January 1, 2016) PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS. Journal of Economics Finance and Accounting 2 4
IEEE
[1]S. Goren and M. Umutlu, “PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS”, JEFA, vol. 2, no. 4, Jan. 2016, [Online]. Available: https://izlik.org/JA37GW99HD
ISNAD
Goren, Seher - Umutlu, Mehmet. “PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS”. Journal of Economics Finance and Accounting 2/4 (January 1, 2016). https://izlik.org/JA37GW99HD.
JAMA
1.Goren S, Umutlu M. PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS. JEFA. 2016;2. Available at https://izlik.org/JA37GW99HD.
MLA
Goren, Seher, and Mehmet Umutlu. “PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS”. Journal of Economics Finance and Accounting, vol. 2, no. 4, Jan. 2016, https://izlik.org/JA37GW99HD.
Vancouver
1.Seher Goren, Mehmet Umutlu. PERFORMANCE EVALUATION OF MUTUAL AND PENSION FUNDS TRADED ON BORSA ISTANBUL UNDER THE CONTROL OF FUND COSTS. JEFA [Internet]. 2016 Jan. 1;2(4). Available from: https://izlik.org/JA37GW99HD

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